Internationally Cross-Listed Stock Prices During Overlapping Trading Hours: Price Discovery and Exchange Rate Effects

Arbeitspapier

We analyze exchange rates along with equity quotes for 3 German firms from New York (NYSE) and Frankfurt (XETRA) during overlapping trading hours to see where price discovery occurs and how stock prices adjust to an exchange rate shock. Findings include: (a) the exchange rate is exogenous with respect to the stock prices; (b) exchange rate innovations are more important in understanding the evolution of NYSE prices than XETRA prices; and (c) most (but not all) of the fundamental or random walk component of firm value is determined in Frankfurt.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Working Paper Series: Finance & Accounting ; No. 78

Classification and Topics

• Classification: Wirtschaft ; International Financial Markets
• Subject: international stock markets ; cross-listing ; price discovery ; Börsenkurs ; Multinationales Unternehmen ; Deutsch ; Preiskonvergenz ; Exchange Rate Pass-Through ; Schock ; Effizienzmarkthypothese ; Deutschland ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Grammig, Joachim ; Melvin, Michael ; Schlag, Christian
• Event: Veröffentlichung
• (who): Johann Wolfgang Goethe-Universität Frankfurt am Main, Fachbereich Wirtschaftswissenschaften
• (where): Frankfurt a. M.
• (when): 2001

Further information

• Handle: http://hdl.handle.net/10419/76943
• URN: urn:nbn:de:hebis:30-17631
• Last update: 10.03.2025, 11:46 AM CET